FINC314 Lecture Notes - Lecture 21: Sheridan Titman, Eugene Fama, Kenneth French
10 Feb 2020
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Document Summary
This twenty-first and final exploratory note of the first half of class covers a fair amount of ground. First, the note addresses rolf banz"s 1980 paper, the relationship between return and market value of. Common stocks, which highlights, for the first time, the size effect. Second, the note digresses a bit, in context of the potential arbitrage opportunity presented in banz (1980), and discusses conglomeration and de-conglomeration in context of the country"s history of merger waves. Third, the note addresses the phenomenon of momentum and utilizes the literature of narasimhan jegadeesh and sheridan. Finally, the note closes with a brief look at the groundbreaking 1992 paper of (newly-crowned. Nobel laureate) eugene fama and kenneth french, the cross-section of expected stock returns. Rolf banz"s 1980 journal of financial economics paper, the relationship between return and market. Value of common stocks, is simple (by contemporary standards), but extremely insightful.
